As I understand it the only restrictions here (because of the memory manages) is that new and delete must be called by the same module (basically if you new it in a DLL delete it in the same DLL).
If you are creating the object on the stack this is simply not a problem.
EDIT: You asked about the case with the new in the constructor: The constructor and destructor will be run in the DLL's space, so as long as the new AND the delete are in the DLL (presumably in the constructor and destructor) that isn't a problem.
Also think you should take the Hans' advice very seriously - if the header files used in the two compilations are different for some reason (different versions) or the modules were compiled with different compilers or the compiler settings were different in some ways then you can easily have difficult to diagnose bugs.
If you are not building both of the modules together with the same tools and releasing then together you shouldn;t experience ay problems.